Advances in Financial Mathematics 2026

9:00 - 9:45 (45min)

Caroline Hillairet - Multivariate Self-Exciting Processes with Dependencies and application to cyber loss processes

Amphithéâtre Durand

Caroline Hillairet

https://fin-risks2026.sciencesconf.org/data/program/Caroline_Hillairet.pdf

9:45 - 10:30 (45min)

Martino Grasselli - A joint framework for SPX, VIX and VXX

Amphithéâtre Durand

Martino Grasselli

https://fin-risks2026.sciencesconf.org/data/program/Abstract_Grasselli_2.pdf

10:30 - 11:00 (30min)

Coffee break

11:00 - 12:40 (1h40)

Decentralized finance

Amphithéâtre Durand

Speakers: M. Allouche, P. Bergault, S. Cabossioras and P. Dufay, L. Latournerie. Organizer: Emmanuel Gobet

› How DeFi is revolutionizing financial asset lending: legal and business challenges - Stephanie Cabossioras, Forge - Philippe Dufay, Société Générale 11:00-11:25 (25min)

› Crypto Asset Valuation in Fragmented Markets - Michael Allouche, Kaiko 11:25-11:50 (25min)

› Optimal Exit Time for Liquidity Providers in Automated Market Makers - Philippe Bergault, Ceremade, U. Paris Dauphine 11:50-12:15 (25min)

› Modeling the risks within the protocol Aave, with an application to portfolio allocation - Louis Latournerie, Ecole Polytechnique, ENSAE 12:15-12:40 (25min)

Planning